Canonical supermartingale couplings (Q1621445): Difference between revisions

This paper considers what is called martingale couplings between Borel measures $\mu, \nu$ on $\mathbb{R}$. That is, if $P$ denotes the corresponding coupling measure on $\mathbb{R}^2$ and $(X,Y)$ are (coupled) random variables on the underlying measure space with marginals $\mu$ and $\nu$, respectively, we have $\mathbb{E}(Y \mid X) \leq X$. The existence of such a coupling is characterised by having $\mu(\phi) \leq \nu (\phi)$ for all decreasing and convex functions $\phi : \mathbb{R} \to \mathbb{R}$ (Strassen). The paper focuses on two canonical such couplings that are called the \textit{increasing} and \textit{decreasing supermartingale transport}, respectively. (These are denoted by $\overrightarrow{P}$ and $\overleftarrow{P}$, respectively.) The first result of the paper is a characterisation in terms of the destination of $\mu ((-\infty,x])$ for all $x \in \mathbb{R}$. In particular, the authors show that $\overrightarrow{P}$ is the unique measure which transports $\mu ((-\infty,x])$ to a measure that maximises the barycentre of the destination measure and minimises the variance. (Similarly, for the decreasing supermartingale transport $\overleftarrow{P}$ by for $\mu([x,+\infty)$.) A second characterisation is given in terms of optimal transport. Here, $\overrightarrow{P}$ is characterised as the one that maximises (among all martingale couplings) the expectation of any reward function that satisfies a certain monotonicity and convexity property. (The decreasing supermartingale transport is characterised by the corresponding minimisation problem.) Finally, a third characterisation is given through the existence of a certain set of paths of transport (that is, certain pairs $(x,y) \in \mathbb{R}^2$) $\Gamma$, which satisfy explicitly given monotonicity conditions, and a set $M \subseteq \mathbb{R}$ with the following properties. The increasing supermartingale transport is concentrated on $\Gamma$ and, furthermore, the coupling restricted on $M \times \mathcal{R}$ is also a martingale coupling. (An analogous characterisation is given for decreasing supermartingale transports.)